If you don't get an answer here, you might try asking in an MzScheme forum or mailing list.
From MzScheme's perspective, Arc is just a big MzScheme program that it's running, and your Arc program is just data that's being fed to the program. So your question is really, "can MzScheme produce Windows executables?"
Though "developing a Windows application in Arc" and "producing a Windows executable" are also two different things: you could create a Windows installer for your users that puts your application files down inside of your application directory inside of Program Files, including a copy of MzScheme and your Arc program, and adding shortcuts from the Start menu and Desktop etc to launch MzScheme with your Arc program. That's a different task than creating one monolithic executable that contains everything.
Moving this question further. Has anyone here been able to deploy Arc based solutions to platforms such as MacOS X, Linux and Windows.
I am a new ARC user, so, as much as I am really enjoying ARC, I would like to know more about how to ship products. I am building a little server to be deployed on intranets but I wonder if there is an easy way to do that besides the obvious: "hey install mzscheme, then arc, then run this script". Can we use mzscheme to build standalone executables that run ARC stuff?